Creating Quant Strategies and Scrutinizing the Market With Ernie Chan
Dr. Ernie Chan is a trader from Toronto, Canada. This week I had the great pleasure of speaking with Dr Ernest Chan, from Toronto (Canada). He’s well known to quantitative traders.
He’s had an unusual introduction to trading.He got his start when he was in a research team at IBM using machine learning and AI techniques to teach computers to understand human language before deciding to join a prop trading group.
Now, Ernie has about 15 years of experience under his belt. He’s been applying techniques he’s learned at IBM in the finance and trading domain and working with a multitude of prop firms and hedge funds. Right now, Ernie is the managing member of QTS Capital Management.
He’s also written two books called “Algorithmic Trading” and “Quantitative Trading” and speaks often at conferences.
What’s Covered in This Interview:
- Why human intuition about markets is key when applying machine learning and AI techniques to financial data.
- Why Ernie trades individual strategies for each market he trades in.
- How Ernie approaches equity strategy.
- Why diversification is important, especially understanding every strategies and their vulnerabilities and why it’s beneficial to trade with multiple strategies.
- Ernie’s opinion on capital allocation and how you can introduce new strategies when you don’t know the true impact of the markets.
- The advantages and disadvantages of algorithmic and discretionary trading, as well as how they compare.
- How Ernie sources most of his trade ideas and his precautions when reading or using any academic research.
- How traders can start quantitative trading using Excel and Ernie’s thoughts on proprietary languages.
Links and Resources:
- Quantitative Trading – Ernie’s first book, which covers the basics of quantitative trading, so if you’re a newbie, this book is for you.
- Algorithmic Trading by Ernie Chan – Ernie’s second book, which focuses more on in-depth strategies and techniques.
- epchan.blogspot.com – Ernie’s blog where there is a wealth of information. He is very helpful to his readers, often answering their questions in the comments area.
- epchan.com – Ernie’s personal website where you can learn about his professional background and upcoming workshops.
- @chanep – Follow Ernie on Twitter.
